For the Generalized Linear Model (GLM), under some conditions including that the specification of the expectation is correct, it is shown that the Quasi Maximum Likelihood Estimate (QMLE) of the parameter-vector is as...For the Generalized Linear Model (GLM), under some conditions including that the specification of the expectation is correct, it is shown that the Quasi Maximum Likelihood Estimate (QMLE) of the parameter-vector is asymptotic normal. It is also shown that the asymptotic covariance matrix of the QMLE reaches its minimum (in the positive-definte sense) in case that the specification of the covariance matrix is correct.展开更多
基金Project supported by the National Natural Science Foundation of China.
文摘For the Generalized Linear Model (GLM), under some conditions including that the specification of the expectation is correct, it is shown that the Quasi Maximum Likelihood Estimate (QMLE) of the parameter-vector is asymptotic normal. It is also shown that the asymptotic covariance matrix of the QMLE reaches its minimum (in the positive-definte sense) in case that the specification of the covariance matrix is correct.
